public void TestTickMultiplier()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.TickSize = codec.Config.GetTickSize();
codec.Config.ContractMultiplier = 50000;
codec.Config.Time_ssf_Diff = 5;
PbTick tick1 = new PbTick();
codec.SetAveragePrice(tick1, 123.45);
codec.SetSettlementPrice(tick1, 123.45);
codec.SetTurnover(tick1, 1234567890123456);
codec.SetOpenInterest(tick1, 9123456789012345678);
codec.SetVolume(tick1, 1234567890);
Assert.AreEqual(123.45, codec.GetAveragePrice(tick1));
Assert.AreEqual(123.45, codec.GetSettlementPrice(tick1));
Assert.AreEqual(1234567890120000, codec.GetTurnover(tick1));
Assert.AreEqual(9123456789012345678, codec.GetOpenInterest(tick1));
Assert.AreEqual(1234567890, codec.GetVolume(tick1));
codec.Config.ContractMultiplier = 5;
codec.SetTurnover(tick1, 1234567890123456);
Assert.AreEqual(1234567890123456, codec.GetTurnover(tick1));
codec.Config.ContractMultiplier = 0.1;
codec.SetTurnover(tick1, 12345678901234.56);
Assert.AreEqual(12345678901234.56, codec.GetTurnover(tick1));
}
public void TestGetSetPrice()
{
var codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
PbTick tick = new PbTick();
Assert.AreEqual(0, codec.GetBidPrice(tick, 1));
Assert.AreEqual(0, codec.GetBidPrice(tick, 4));
Assert.AreEqual(0, codec.GetBidPrice(tick, 10));
codec.SetBidPrice(tick, 1, 1.0);
codec.SetBidPrice(tick, 4, 2.4);
codec.SetBidPrice(tick, 10, 5.8);
Assert.AreEqual(1, codec.GetBidPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetBidPrice(tick, 4));
Assert.AreEqual(5.8, codec.GetBidPrice(tick, 10));
Assert.AreEqual(0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(0, codec.GetAskPrice(tick, 4));
Assert.AreEqual(0, codec.GetAskPrice(tick, 10));
codec.SetAskPrice(tick, 1, -1.0);
codec.SetAskPrice(tick, 4, 2.4);
codec.SetAskPrice(tick, 10, -5.8);
Assert.AreEqual(-1.0, codec.GetAskPrice(tick, 1));
Assert.AreEqual(2.4, codec.GetAskPrice(tick, 4));
Assert.AreEqual(-5.8, codec.GetAskPrice(tick, 10));
codec.SetAskCount(tick, 1, 4);
codec.SetAskCount(tick, 4, 5);
codec.SetAskCount(tick, 10, -9);
Assert.AreEqual<double>(4, codec.GetAskCount(tick, 1));
Assert.AreEqual<double>(5, codec.GetAskCount(tick, 4));
Assert.AreEqual<double>(-9, codec.GetAskCount(tick, 10));
codec.SetSettlementPrice(tick, 1234.56);
Assert.AreEqual(1234.56, codec.GetSettlementPrice(tick), "SettlementPrice");
codec.SetTurnover(tick, 4567.8);
Assert.AreEqual(4567.8, codec.GetTurnover(tick), "Turnover");
}
public void TestTickDiff()
{
PbTickCodec codec = new PbTickCodec();
codec.Config.SetTickSize(0.2);
codec.TickSize = codec.Config.GetTickSize();
codec.Config.Time_ssf_Diff = 5;
PbTick tick1 = new PbTick();
tick1.Config = codec.Config;
codec.SetLastPrice(tick1, 1234);
codec.SetVolume(tick1, 1);
codec.SetActionDay(tick1, DateTime.Today);
codec.SetTradingDay(tick1, DateTime.Today.AddDays(-1));
//codec.Set
codec.SetAskPrice(tick1, 1, 1234.2);
codec.SetAskSize(tick1, 1, 1);
//codec.SetAskPrice(tick1, 2, 1234.4);
//codec.SetAskSize(tick1, 2, 1);
//codec.SetAskPrice(tick1, 3, 1234.6);
//codec.SetAskSize(tick1, 3, 3);
//codec.SetAskPrice(tick1, 4, 1234.8);
//codec.SetAskSize(tick1, 4, 4);
//codec.SetAskPrice(tick1, 5, 1235.0);
//codec.SetAskSize(tick1, 5, 5);
//codec.SetAskPrice(tick1, 6, 1235.2);
//codec.SetAskSize(tick1, 6, 6);
codec.SetBidPrice(tick1, 1, 1234);
codec.SetBidSize(tick1, 1, 1);
//codec.SetBidPrice(tick1, 2, 1233.8);
//codec.SetBidSize(tick1, 2, 2);
//codec.SetBidPrice(tick1, 3, 1233.6);
//codec.SetBidSize(tick1, 3, 3);
//codec.SetBidPrice(tick1, 4, 1233.4);
//codec.SetBidSize(tick1, 4, 4);
//codec.SetBidPrice(tick1, 5, 1233.2);
//codec.SetBidSize(tick1, 5, 5);
//codec.SetBidPrice(tick1, 6, 1232.0);
//codec.SetBidSize(tick1, 6, 6);
codec.SetLowerLimitPrice(tick1, 123.4);
codec.SetUpperLimitPrice(tick1, 567.8);
codec.SetSettlementPrice(tick1, 123.4);
codec.SetOpen(tick1, 10);
codec.SetHigh(tick1, 10);
codec.SetLow(tick1, 10);
codec.SetClose(tick1, 10);
codec.SetBarSize(tick1, 10);
tick1.Time_HHmm = 1234;
tick1.Time_____ssf__ = 567;
tick1.Time________ff = 0;
PbTick tick2 = new PbTick();
codec.SetLastPrice(tick2, 1234.2);
codec.SetVolume(tick2, 2);
codec.SetActionDay(tick2, DateTime.Today);
codec.SetTradingDay(tick2, DateTime.Today.AddDays(-1));
codec.SetAskPrice(tick2, 1, 1234.2);
codec.SetAskSize(tick2, 1, 1);
codec.SetAskPrice(tick2, 2, 1234.4);
codec.SetAskSize(tick2, 2, 2);
codec.SetAskPrice(tick2, 3, 1234.6);
codec.SetAskSize(tick2, 3, 3);
codec.SetBidPrice(tick2, 1, 1234);
codec.SetBidSize(tick2, 1, 1);
codec.SetBidPrice(tick2, 2, 1233.8);
codec.SetBidSize(tick2, 2, 2);
codec.SetBidPrice(tick2, 3, 1233.6);
codec.SetBidSize(tick2, 3, 3);
codec.SetLowerLimitPrice(tick2, 123.4);
codec.SetUpperLimitPrice(tick2, 567.8);
codec.SetSettlementPrice(tick2, 123.4);
codec.SetOpen(tick2, 10);
codec.SetHigh(tick2, 10);
codec.SetLow(tick2, 10);
codec.SetClose(tick2, 10);
codec.SetBarSize(tick2, 10);
tick2.Time_HHmm = 1234;
tick2.Time_____ssf__ = 572;
tick2.Time________ff = 0;
var diff = codec.Diff(tick1, tick2);
Assert.AreEqual(0, diff.ActionDay);
Assert.AreEqual(0, diff.TradingDay);
Assert.AreEqual(null, diff.Static);
Assert.AreEqual(null, diff.Bar);
Assert.AreEqual(0, diff.Depth1_3.AskPrice1, "AskPrice1");
Assert.AreEqual(0, diff.Depth1_3.AskSize1, "AskSize1");
Assert.AreEqual(0, diff.Depth1_3.AskPrice2, "AskPrice2");
Assert.AreEqual(2, diff.Depth1_3.AskSize2, "AskSize2");
Assert.AreEqual(0, diff.Depth1_3.AskPrice3, "AskPrice3");
Assert.AreEqual(3, diff.Depth1_3.AskSize3, "AskSize3");
Assert.AreEqual(0, diff.Time_____ssf__);
var tick3 = codec.Restore(tick1, diff);
Assert.AreEqual(tick2.Depth1_3.AskPrice1, tick3.Depth1_3.AskPrice1);
Assert.AreEqual(tick2.Depth1_3.AskPrice2, tick3.Depth1_3.AskPrice2);
Assert.AreEqual(tick2.Depth1_3.AskPrice3, tick3.Depth1_3.AskPrice3);
Assert.AreEqual(tick2.Depth1_3.AskSize1, tick3.Depth1_3.AskSize1);
Assert.AreEqual(tick2.Depth1_3.AskSize2, tick3.Depth1_3.AskSize2);
Assert.AreEqual(tick2.Depth1_3.AskSize3, tick3.Depth1_3.AskSize3);
Assert.AreEqual(tick2.Depth1_3.BidPrice1, tick3.Depth1_3.BidPrice1);
Assert.AreEqual(tick2.Depth1_3.BidPrice2, tick3.Depth1_3.BidPrice2);
Assert.AreEqual(tick2.Depth1_3.BidPrice3, tick3.Depth1_3.BidPrice3);
Assert.AreEqual(tick2.Depth1_3.BidSize1, tick3.Depth1_3.BidSize1);
Assert.AreEqual(tick2.Depth1_3.BidSize2, tick3.Depth1_3.BidSize2);
Assert.AreEqual(tick2.Depth1_3.BidSize3, tick3.Depth1_3.BidSize3);
Assert.AreEqual(codec.GetLowerLimitPrice(tick1), codec.GetLowerLimitPrice(tick3));
Assert.AreEqual(codec.GetUpperLimitPrice(tick1), codec.GetUpperLimitPrice(tick3));
Assert.AreEqual(codec.GetSettlementPrice(tick1), codec.GetSettlementPrice(tick3));
Assert.AreEqual(codec.GetOpen(tick1), codec.GetOpen(tick3));
Assert.AreEqual(codec.GetHigh(tick1), codec.GetHigh(tick3));
Assert.AreEqual(codec.GetLow(tick1), codec.GetLow(tick3));
Assert.AreEqual(codec.GetClose(tick1), codec.GetClose(tick3));
Assert.AreEqual(572, tick3.Time_____ssf__);
}